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This study presents an ANWSER model (asset network systemic risk model) to quantify the risk of financial contagion which manifests itself in a financial crisis. The transmission of financial distress is governed by a heterogeneous bank…
Ensuring safety in autonomous multi-agent systems during time-critical tasks such as rendezvous is a fundamental challenge, particularly under communication delays and uncertainty in system parameters. In this paper, we develop a…
With a steadily growing population and rapid advancements in technology, the global economy is increasing in size and complexity. This growth exacerbates global vulnerabilities and may lead to unforeseen consequences such as global…
We consider a general tractable model for default contagion and systemic risk in a heterogeneous financial network, subject to an exogenous macroeconomic shock. We show that, under some regularity assumptions, the default cascade model…
We model a network economy with three sectors: downstream firms, upstream firms, and banks. Agents are linked by productive and credit relationships so that the behavior of one agent influences the behavior of the others through network…
In our daily lives, we rely on the proper functioning of supply networks, from power grids to water transmission systems. A single failure in these critical infrastructures can lead to a complete collapse through a cascading failure…
Stochastic processes can model many emerging phenomena on networks, like the spread of computer viruses, rumors, or infectious diseases. Understanding the dynamics of such stochastic spreading processes is therefore of fundamental interest.…
In this paper, we introduce a distributed control strategy to prevent dynamically-induced cascading failures in power grids. We model power grids using complex networks and nonlinear dynamics to provide a coarse-grained description of the…
Systemic risk arises as a multi-layer network phenomenon. Layers represent direct financial exposures of various types, including interbank liabilities, derivative- or foreign exchange exposures. Another network layer of systemic risk…
Understanding and analyzing cascading failures in power grids have been the focus of many researchers for years. However, the complex interactions among the large number of components in these systems and their contributions to cascading…
This paper characterizes the probability of a market failure defined as the default of two or more globally systemically important banks (G-SIBs) in a small interval of time. The default probabilities of the G-SIBs are correlated through…
We introduce a new microscopic model of the outages in transmission power grids. This model accounts for the automatic response of the grid to load fluctuations that take place on the scale of minutes, when the optimum power flow…
Systemic risks of default contagion in the Russian interbank market are investigated. The analysis is based on considering the bow-tie structure of the weighted oriented graph describing the structure of the interbank loans. A probabilistic…
The emergence and evolution of real-world systems have been extensively studied in the last few years. However, equally important phenomena are related to the dynamics of systems' collapse, which has been less explored, especially when they…
Following the financial crisis of 2007-2008, a deep analogy between the origins of instability in financial systems and complex ecosystems has been pointed out: in both cases, topological features of network structures influence how easily…
Drawing on recent contributions inferring financial interconnectedness from market data, our paper provides new insights on the evolution of the US financial industry over a long period of time by using several tools coming from network…
This study pioneers the application of the Gai-Kapadia framework, originally developed for interbank contagion, to global equity markets. It offers a novel approach to assess systemic risk and default cascades. Using a 20-asset network (13…
Recently, large-scale cascading failures in complex systems have garnered substantial attention. Such extreme events have been treated as an integral part of the self-organized criticality (SOC). Recent empirical work has suggested that…
We propose a new model of the liquidity driven banking system focusing on overnight interbank loans. This significant branch of the interbank market is commonly neglected in the banking system modeling and systemic risk analysis. We…
Financial markets are exposed to systemic risk, the risk that a substantial fraction of the system ceases to function and collapses. Systemic risk can propagate through different mechanisms and channels of contagion. One important form of…